Any program for automatic rebalance

P

pbanerjee

Basically, I would like to do something like this on some platform:

(a) At the beginning of the 1st month or week etc, do the following
(i) rank all the US stocks by some indicator such as RSI
(ii) select the top 10 best stocks
(iii) buy the top stocks in some proportion like equal weights etc

(b) At every month thereafter,
(i) do a fresh ranking
(ii) if some stocks are still in the top 10 list of previous month, then don't touch them,
(iii) if some stocks in the previous month's list have dropped out of this month's list, then sell the dropped out stocks
(iv) buy the new stocks in the list in equal proportion

Can I do it automatically via Tradestation or any other platform?
 
Quote from pbanerjee:

Basically, I would like to do something like this on some platform:

(a) At the beginning of the 1st month or week etc, do the following
(i) rank all the US stocks by some indicator such as RSI
(ii) select the top 10 best stocks
(iii) buy the top stocks in some proportion like equal weights etc

(b) At every month thereafter,
(i) do a fresh ranking
(ii) if some stocks are still in the top 10 list of previous month, then don't touch them,
(iii) if some stocks in the previous month's list have dropped out of this month's list, then sell the dropped out stocks
(iv) buy the new stocks in the list in equal proportion

Can I do it automatically via Tradestation or any other platform?
More...

Why do you need to automate this? It will take you 5 minutes once a month to do this manually. That is 60 minutes a year, it will take you a lot longer than that to try an automate this.
 
Quote from UDon'tKnowMe:

Why do you need to automate this? It will take you 5 minutes once a month to do this manually. That is 60 minutes a year, it will take you a lot longer than that to try an automate this.
More...

For a couple of reasons:

(i) I have a strategy that works with desired characteristics when I hold a large number of stocks - close to 100, but with less than 10 stocks, the portfolio has too much of individual stock specific risks and the strategy is not that good. So it is basically, more like a small number shares per company spread across a large number of companies.

(ii) I am too busy with my normal job to bother about entering/exiting too many positions

(iii) My company firewalls are unlikely to let me access a majority of trader workstations - for instance with IB I know it doesn't permit. I work for a financial firms, where generally they discourage personal trading and make life very hard if anyone wants to do it. So I need the code to run from home and then I can check up once in a while how much has it got done etc.

(iv) I am a bit too lazy to do manual stuff every month, e.g. I could be travelling too. Automating it would give me more peace of mind to concentrate on other stuff.

By the way, do you have any suggestions?
 
I would think you would be able to do it thru Tradestation and Easy Language. But you have to know how to write Easy Language, and it will take you a long time to write the code for this, that is why I thought it would be easier to just do it manually.
 
Sure you can do it.

And probably in trade station too.

This is not far from what I do with IB and some Java.

There are some practicalities involved with a completely unsupervised setup - but they can all be solved.
 
You must log in or register to reply here.
Back
Top